The impact of credit conditions on market liquidity – a case for European stock markets

The recent financial crisis has drawn the attention of researchers and regulators to the importance of liquidity for stock market stability and efficiency. The ability of market-makers and investors to provide liquidity is constrained by the willingness of financial institutions to supply funding capital. This paper sheds light on the liquidity linkages between the Central Bank, Monetary Financial Institutions and market-makers as crucial elements to the well-functioning of markets. Results suggest the existence of causality between credit conditions and stock market liquidity for the Eurozone between 2003 and 2015. Similar evidence is found for the UK during the post-crisis period. Keywords: stock

MarketOpolis: A market simulation based on investors decisions

This study aims to replicate Apple’s stock market movement by modeling major investment profiles and investors. The present model recreates a live exchange to forecast any predictability in stock price variation, knowing how investors act when it concerns investment decisions. This methodology is particularly relevant if, just by observing historical prices and knowing the tendencies in other players’ behavior, risk-adjusted profits can be made. Empirical research made in the academia shows that abnormal returns are hardly consistent without a clear idea of who is in the market in a given moment and the correspondent market shares. Therefore, even when knowing investors’ individual investment profiles, it is not clear how they affect aggregate markets.

Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

Hybrid investment strategy active portfolio management – US stock market

This thesis aims to develop an alternative active managed portfolio strategy based on companies‟ Fundamental and Technical Analysis and analyze its finals results. There is a big distinction between the two approaches and the main objective is to understand if it is possible to take advantage of both. With this in mind a Hybrid investment strategy for the US stock market, due to its dimension and liquidity, which was able to outperform the S&P 500 index, the benchmark, during both Bear and Bull Markets between 2000 and 2015.

Exchange rate pressure in Angola

The objective of this work is to develop an operational tool to analyze exchange rate pressure in the context of Angola. The Angolan economy exhibits a number of relevant characteristics: a closed financial account, a partially controlled current account, a highly dollarized economy and exports (oil) price determined in World markets. These features have a direct effect on the demand of foreign currency and motivate their inclusion in the specification of a model for Angola. The model provides the rational for a measure of an exchange market rate pressure (EMP) index that contains exports changes, imports changes, the foreign interest rate and inflation and the change in foreign reserves corrected for a measure dollarization. The empirical performance new measure is comparable (slightly better) to the performance of the EMP indexes obtained in Eichengreen Rose and Wyplosz (1994) and Klassen and Jager (2011).

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.

Equity offerings, stock price crash risk, and the impact of securities regulation: international evidence

We examine whether earnings manipulation around seasoned equity offerings (SEOs) is associated with an increase in the likelihood of a stock price crash post-issue and test whether the enactment of securities regulations attenuate the relation between SEOs and crash risk. Empirical evidence documents that managerial tendency to conceal bad news increases the likelihood of a stock price crash (Jin and Myers, 2006; Hutton, Marcus, and Tehranian, 2009). We test this hypothesis using a sample of firms from 29 EU countries that enacted the Market Abuse Directive (MAD). Consistent with our hypothesis, we find that equity issuers that engage in earnings management experience a significant increase in crash risk post-SEO relative to control groups of non-issuers; this effect is stronger for equity issuers with poor information environments. In addition, our findings show a significant decline in crash risk post-issue after the enactment of MAD that is stronger for firms that actively manage earnings. This decline in post-issue crash risk is more effective in countries with high ex-ante institutional quality and enforcement. These results suggest that the implementation of MAD helps to mitigate managers’ ability to manipulate earnings around SEOs.

Earnings management and stock price crashes post-crossdelisting

We test whether cross-delisted firms from the major U.S. stock exchanges experience an increase in crash risk associated with earnings management. Consistent with our prediction, we find that earnings management have a greater positive impact on stock price crash risk post-cross-delisting when compared to a sample of still cross-listed firms. Moreover, our results suggest that this effect is more pronounced for crossdelisted firms from countries with weaker investor protection and poorer quality of their information environment. We further examine whether managers’ ability to manipulate earnings increases post-cross-delisting around seasoned equity offerings. Our evidence shows that cross-delisted firms that engage in earnings management to inflate reported earnings prior to a seasoned equity offering are more likely to observe a subsequent stock price crash.

Ion exchange dependent electroactive phase content and electrical properties of poly(vinylidene fluoride)/Na(M)Y composites

Different metal-ion exchanged NaY zeolite, Na(M)Y, were used to prepare poly(vinylidene fluoride) based composites by solvent casting and melting crystallization. The effect of different metal ion-exchanged zeolites on polymer crystallization and electrical properties was reported. Cation-framework interactions and hydration energy of the cations determined that K+ is the most efficient exchanged ion in NaY zeolite, followed by Cs+ and Li+. The electroactive phase crystallization strongly depends on the ions present in the zeolite, leading to variations of the surface energy characteristics of the Na(M)Y zeolites and the polymer chain ability of penetration in the zeolite. Thus, Na(Li)Y and NaY induces the complete electroactive -phase crystallization of the crystalline phase of PVDF, while Na(K)Y only induces it partly and Na(Cs)Y is not able to promote the crystallization of the electroactive phase. Furthermore, different ion size/weigh and different interaction with the zeolite framework results in significant variations in the electrical response of the composite. In this way, iinterfacial polarization effects in the zeolite cavities and zeolite-polymer interface, leads to strong increases of the dielectric constant on the composites with lightest ions weakly bound to the zeolite framework. Polymer composite with Na(Li)Y show the highest dielectric response, followed by NaY and Na(K)Y. Zeolite Na(Cs)Y contribute to a decrease of the dielectric constant of the composite. The results show the relevance of the materials for sensor development.

Light-distortion analysis as a possible indicator of visual quality after refractive lens exchange with diffractive multifocal intraocular lenses

METHODS: Refractive lens exchange was performed with implantation of an AT Lisa 839M (trifocal) or 909MP (bifocal toric) IOL, the latter if corneal astigmatism was more than 0.75 diopter (D). The postoperative visual and refractive outcomes were evaluated. A prototype light-distortion analyzer was used to quantify the postoperative light-distortion indices. A control group of eyes in which a Tecnis ZCB00 1-piece monofocal IOL was implanted had the same examinations. RESULTS: A trifocal or bifocal toric IOL was implanted in 66 eyes. The control IOL was implanted in 18 eyes. All 3 groups obtained a significant improvement in uncorrected distance visual acuity (UDVA) (P < .001) and corrected distance visual acuity (CDVA) (P Z .001). The mean uncorrected near visual acuity (UNVA) was 0.123 logMAR with the trifocal IOL and 0.130 logMAR with the bifocal toric IOL. The residual refractive cylinder was less than 1.00 D in 86.7% of cases with the toric IOL. The mean light-distortion index was significantly higher in the multifocal IOL groups than in the monofocal group (P < .001), although no correlation was found between the light-distortion index and CDVA. CONCLUSIONS: The multifocal IOLs provided excellent UDVA and functional UNVA despite increased light-distortion indices. The light-distortion analyzer reliably quantified a subjective component of vision distinct from visual acuity; it may become a useful adjunct in the evaluation of visual quality obtained with multifocal IOLs.

Sustentabilidade no Design: uma abordagem aos resíduos limpos das indústrias do calçado

Dissertação de mestrado em Design e Marketing

Consumption, wealth, stock and housing returns: evidence from emerging markets

We test the predictive ability of the transitory deviations of consumption from its common trend with aggregate wealth and labour income, cay, for both future equity and housing risk premia in emerging market economies. Using quarterly data for 31 markets, our country-level evidence shows that forecasting power of cay vis-à-vis stock returns is high for Brazil, China, Colombia, Israel, Korea, Latvia and Malaysia. As for housing returns, the empirical evidence suggests that financial and housing assets are perceived as complements in the case of Chile, Russia, South Africa and Thailand, and as substitutes in Argentina, Brazil, Hong Kong, Indonesia, Korea, Malaysia, Mexico and Taiwan. Using a panel econometric framework, we find that the cross-country heterogeneity observed in asset return predictability does not accrue to regional location, but can be attributed to differences in the degree of equity market development and in the level of income.

Investor sentiment and the cross-section of stock returns in the French stock market

Dissertação de mestrado em Finanças

Gas exchange during exercise in different evolutional stages of chronic Chagas' heart disease

OBJECTIVE: To compare gas exchange at rest and during exercise in patients with chronic Chagas' heart disease grouped according to the Los Andes clinical/hemodynamic classification. METHODS: We studied 15 healthy volunteers and 52 patients grouped according to the Los Andes clinical/hemodynamic classification as follows: 17 patients in group IA (normal electrocardiogram/echocardiogram), 9 patients in group IB (normal electrocardiogram and abnormal echocardiogram), 14 patients in group II (abnormal electrocardiogram/echocardiogram, without congestive heart failure), and 12 patients in group III (abnormal electrocardiogram/echocardiogram with congestive heart failure). The following variables were analyzed: oxygen consumption (V O2), carbon dioxide production (V CO2), gas exchange rate (R), inspiratory current volume (V IC), expiratory current volume (V EC), respiratory frequency, minute volume (V E), heart rate (HR), maximum load, O2 pulse, and ventilatory anaerobic threshold (AT). RESULTS: When compared with the healthy group, patients in groups II and III showed significant changes in the following variables: V O2peak, V CO2peak, V ICpeak, V ECpeak, E, HR, and maximum load. Group IA showed significantly better results for these same variables as compared with group III. CONCLUSION: The functional capacity of patients in the initial phase of chronic Chagas' heart disease is higher than that of patients in an advanced phase and shows a decrease that follows the loss in cardiac-hemodynamic performance.

Data for the sustainable management of an emerging fishery: Age, growth and stock structure of Atlantic saury Scomberesox saurus saurus (Walbaum), in the Northeastern Atlantic Ocean

Almost half of Ireland’s commercial stocks face overexploitation. As traditional species decrease in abundance and become less profitable, the industry is increasingly turning to alternate species. Atlantic saury (Scomberesox saurus saurus (Walbaum)) has been identified as a potential species for exploitation. Very little information is available on its biology or population dynamics, especially for Irish waters. This thesis aims to obtain sound scientific data, which will help to ensure that a future Atlantic saury fishery can be sustainably managed. The research has produced valuable data, some of which contradicts previous studies. Growth of Atlantic saury measured using otolith microstructure is found to be more than twice that previously calculated from annual structures on scales and otoliths. This results in a significant reduction of the expected life span from five to about two years. Investigation of maturity stage at age indicates that Atlantic saury will reproduce for the first time at age one and will survive for one or at most two reproduction seasons. It is concluded that a future Irish fishery will target mostly fish prior to their first reproduction. Finally the thesis gives some insights into the population structure of Atlantic saury, by analysis of otolith morphometric. Significant differences are detected between Northeastern Atlantic and western Mediterranean Sea specimens of the 0+ age class (less than one year old). The implications of these results for the management of an emerging fishery are discussed.